Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
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Publication:3445888
DOI10.1080/13504860600659172zbMath1281.91170OpenAlexW1979578147MaRDI QIDQ3445888
James A. Primbs, Yuji Yamada, Muruhan Rathinam
Publication date: 7 June 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860600659172
Related Items (5)
Binomial tree method for option pricing: discrete cosine transform approach ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
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